Economic Scenario Generator
Conning’s GEMS® Economic Scenario Generator provides advanced modeling, simulation, and calibration capabilities for the entire range of real-world and risk-neutral applications. GEMS® has consistently delivered robust estimates of the future state of global financial markets, even through multiple economic crises. With model delivery now available on the second calendar day of each quarter, users can meet previously unattainable reporting deadlines while using some of most technologically advanced risk models in the industry.
Real-World Scenarios
- Benefit from T+2nd calendar-day delivery of the fully calibrated GEMS® Expert View Parameterization for real world.
- Simulated distributions based on a well-defined and fully documented process for target setting, with parameter stability as a built-in design criterion.
- Suitable for multiple applications, including capital modeling (e.g., Solvency II and RBC), strategic asset allocation (SAA), climate scenario analysis, and general risk management.
Market Consistent Scenarios
- Consistent models and software platform for both real-world and risk-neutral calibration and simulation.
- Calibrate market prices or implied volatility of options across swap rates, swaptions, inflation swaps, inflation caps and floors, credit spreads, and equity derivatives.
- Get up and running quickly by using the calibration and simulation software in-house or benefit from Conning’s fully managed calibration services.
Asset Class Coverage
- Full range of asset classes, including nominal and real interest rates, equity returns, corporate credit, sovereign credit, municipal bonds, mortgage-backed securities, real estate, and many alternative investments.
- Widest range of security and derivative types modeled natively, including government bonds, floating-rate notes, inflation-linked bonds, and derivatives on interest rates, inflation, equity markets, and foreign exchange.
- For non-standard risk exposures, inbuilt frameworks exist for modeling user-defined asset classes at different levels of sophistication.
Platform and Technology
- GEMS scenarios can be generated via desktop software, cloud-based simulation, SaaS, or flat file delivery.
- Fast, accurate, user-friendly tools for recalibrating interest rates, credit, inflation, equity returns, foreign exchange, and simulated correlations to a user’s own views of future risk and reward.
- The Risk Neutral Automation Tool enables streamlined calibration of user-defined stresses for regulatory reporting and IFRS17 applications.
Service and Support
- Experienced client support team to help you get up and running quickly.
- Extensive documentation of models, software, and parameterization processes.
- Regularly scheduled software updates incorporating the latest features.
